全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
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作者:N. Phewchean , Y. Wu
来源:[J].Advances in Difference Equations(IF 0.76), 2019, Vol.2019 (1), pp.1-15Springer
摘要:Abstract(#br)This paper aims to examine and establish the models for European option pricing which include parameters of stochastic dividend yield and stochastic earning yield. We generalize the Ornstein–Uhlenbeck process and define it as generalized Ornstein–Uhlenbeck pr...
作者:Xiaozhong Yang , Lifei Wu , Yuying Shi
来源:[J].Advances in Difference Equations(IF 0.76), 2015, Vol.2015 (1), pp.1-13Springer
摘要:Abstract(#br)The quanto option pricing model is an important financial derivatives pricing model; it is a two-dimensional Black-Scholes (B-S) equation with a mixed derivative term. The research of its numerical solutions has theoretical value and practical application significanc...
作者:Shengwu Zhou , Lei Han , Wei Li ...
来源:[J].Computational and Applied Mathematics(IF 0.413), 2015, Vol.34 (3), pp.881-900Springer
摘要:Abstract(#br)Option pricing model and numerical method with transaction costs under jump-diffusion process of Merton is studied in this paper. Partial integro-differential equation satisfied by the option value is derived by delta-hedge method, which is a nonlinear Black–Sc...
作者:Shuai Zhang , Zhao Wang , Ying Peng ...
来源:[J].The Journal of Supercomputing(IF 0.917), 2017, Vol.73 (9), pp.3715-3737Springer
摘要:... In this paper, we demonstrate how heterogeneous many-core architectures, powered by multi-core CPUs, CUDA-enabled GPUs and Xeon Phis can be used as an efficient computational platform to accelerate popular option pricing algorithms. In order to make full use of the compute po...
作者:Shom Prasad Das , Sudarsan Padhy
来源:[J].Neural Computing and Applications(IF 1.168), 2017, Vol.28 (12), pp.4061-4077Springer
摘要:Here, we propose and investigate a hybrid model that combines parametric option pricing models such as Black–Scholes (BS) option pricing model, Monte Carlo option pricing model, and finite difference method with nonparametric machine learning techniques such as support vecto...
作者:Jingtang Ma , Zhiqiang Zhou
来源:[J].Journal of Scientific Computing(IF 1.71), 2018, Vol.75 (3), pp.1656-1674Springer
摘要:Abstract(#br)This paper aims to analyze the convergence rates of the iterative Laplace transform methods for solving the coupled PDEs arising in the regime-switching option pricing. The so-called iterative Laplace transform methods are described as follows. The semi-discretizatio...
作者:Shoujun Huang , Jun Yang , Shanjun Li
来源:[J].Energy(IF 3.651), 2017, Vol.137, pp.325-335Elsevier
摘要:Abstract(#br)Based on the conditional value-at-risk criterion and trading characteristics of the vehicle-to-grid reserve market, this paper establishes an option pricing strategy for a risk-neutral grid company, and builds two electricity reserve models for a risk-averse electri...
作者:Leila Khodayari , Mojtaba Ranjbar
来源:[J].Computational Economics(IF 0.463), 2017, Vol.50 (2), pp.189-205Springer
摘要:... In support of this contention, the multi-asset option pricing problems under exponential Lévy framework have been solved numerically by using the proposed method and compared with results obtained via the original RBF-DQ method. For accuracy achieved versus work expended...
作者:Michael J. Stutzer
来源:[J].Entropy: International and Interdisciplinary Journal of Entropy and Information Studies(IF 1.347), 2000, Vol.2 (2), pp.70DOAJ
摘要:Abstract: A straightforward derivation of the celebrated Black-Scholes Option Pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock ...
作者:Michael J. Stutzer
来源:[J].Entropy(IF 1.347), 2000, Vol.2 (2), pp.70-77DOAJ
摘要:Abstract: A straightforward derivation of the celebrated Black-Scholes Option Pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock ...

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